Analyzing Risk in an Investment Portfolio

Size: px
Start display at page:

Download "Analyzing Risk in an Investment Portfolio"

Transcription

1 Introduction Analyzing Risk in an Investment Portfolio October 16, 2012

2 PUBLIC TRUST ADVISORS Neil Waud, CFA Director Portfolio Management (303) Matthew Tight Vice President Sales and Marketing (303)

3 IT S ROUGH OUT THERE 0.60% 0.55% 0.50% 0.45% 0.40% 0.35% 0.30% 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% 10/3/2012 Current Treasury Yields 3 Month 6 Month 1 Year 2 Year 3 Year 4 Year 5 Year 3

4 THE THREE PILLARS OF INVESTMENT MANAGEMENT SAFETY If I lend a dollar in principal, will I get it back in a timely manner? LIQUIDITY Will I have sufficient funds on hand to meet my needs? YIELD Am I earning a market rate of return on my investment? What are the risks to be aware of while pursuing these goals in an investment portfolio? 4

5 SAFETY ABOVE ALL ELSE Safety relates to the return OF, rather than the return ON your invested principal. Paid in Full Partial Default Total Loss How do you measure the strength of your counterparty when investing? 5

6 SAFETY RATING AGENCY SCALES LONG - TERM RATING SCALES COMPARISON MOODY'S Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 S&P AAA AA+ Aa2 AA- A+ A A- BBB+ BBB BBB- FITCH AAA AA+ Aa2 AA- A+ A A- BBB+ BBB BBB- SHORT - TERM RATINGS SCALES COMPARISON MOODY'S P-1 P-2 P-3 S&P A-1+ /A-1 A-2 A-3 FITCH F1+ / F1 F2 F3 6

7 SAFETY THE LESSONS FROM 2008 The credit crisis of 2008 reminded investors that it is unwise to rely solely on rating agencies to gauge counterparty risk. MOODY'S AVERAGE CORPORATE DEFAULT RATE BY RATING, Aaa Aa A Baa 0.000% 0.062% 0.097% 0.272% MOODY'S AVERAGE CORPORATE DEFAULT RATE BY RATING FOR 2008 Aaa Aa A Baa 0.000% 0.574% 0.474% 0.488% 0X 9X 5X 2X 7

8 SAFETY - WHAT A RATING CAN T TELL YOU FROM A GLANCE Selected Commercial Paper Offerings 10/01/12 Why does Atlantic Asset yield twice as much as similarly rated (A-1/P-1) JPMorgan Chase and United Technology Corporation for the same maturity date? To make an informed investment decision financial and economic analysis is needed. 8

9 SAFETY BEYOND THE RATINGS Long-Term Rating Sector Purpose Guarantor Moody's S&P Fitch Atlantic Asset Financial Asset Backed Credit Agricole A2 (negative outlook) A (stable outlook) A+ (negative outlook) JPMorgan Chase Financial Banking JPMorgan Chase & Co A2 (negative outlook) A (negative outlook) A+ (stable outlook) United Technology Industrial Aerospace/Defense United Technology Corp A2 (negative outlook) A (stable outlook) A (stable outlook) Atlantic Asset (0.30%) Asset backed program with credit enhancement from Credit Agricole (French). Due to the poor macroeconomic outlook for Europe, and sizeable exposure to Greece through banking operations, Credit Agricole is not without risk. JPMorgan Chase (0.15%) General obligation of the largest bank in the U.S. by assets. Despite risk-management issues and on-going lawsuits for the 2008 credit crisis, it is still considered too big to fail with implied support from the U.S. Government. United Technology Corporation (0.12%) U.S. multinational conglomerate that researches, develops and manufactures aerospace and defense products. A well diversified company with strong financials and free cash flow, near term risks are viewed as limited. Utilizing long-term ratings in conjunction with macroeconomic analysis provides more transparency when analyzing counterparty risk. 9

10 SAFETY MARKET SIGNALS If the markets are efficient, real-time data can provide valuable insight to perceived risk. Five Year Credit Default Swaps for Banks - 10/02/12 Bank of America Morgan Stanley Credit Agricole Tokyo-Mit UFJ Deutsche Bank Std Chartered Credit Suisse BNP Paribas Wells Fargo JPMorgan Citigroup Goldman Mizuho Barclays Soc Gen Nomura BBVA ING RBS UBS More Perceived Risk Less Perceived Risk Quoted in basis points Example: To insure $10M in Wells Fargo Bonds from default for 5 years you would pay $10,000,000 X.0085 = $85,000 / per year 10

11 SAFETY THE SOVEREIGNS Five Year Credit Default Swaps Sovereigns -10/02/12 Netherlands Argentina Germany Australia Denmark Portugal Sweden Norway Mexico Ireland Finland France Spain Brazil Japan China Italy U.K. USA More Perceived Risk Less Perceived Risk Quoted in basis points Example: To insure $10M in U.S. Treasury Bonds from default for 5 years you would pay $10,000,000 X.0036 = $36,000 / per year 11

12 LIQUIDITY - A CLOSER LOOK Liquidity The degree that an investment can be bought or sold without affecting its market price. Apple, Inc. (AAPL), the largest publicly-traded corporation in the world by market capitalization. On average, over 17M shares trade every day. Closing price on 10/10/12 $640. The Mona Lisa, property of the French Republic, currently on display at the Louvre in Paris. Valued at $100M in 1962 for insurance coverage. One of a kind, current price???. 12

13 LIQUIDITY NO BAD ASSETS, JUST BAD PRICES Major Asset Classes Permitted By C.R.S Cash U.S. Treasuries U.S. Agencies / Instrumentalities Corporate Debt Municipal Debt Certificate of Deposit Bank Deposits T-Bills Discount Notes Commercial Paper General Obligation Negotiable LGIP T-Notes Medium Term Notes Medium-Term Notes Revenue Non-Negotiable Repo Agreements Callable Notes Floating Rate Notes Mortgage Pass Through More Liquid Less Liquid 1. Size of the market, frequency of trades, ease of valuation and issue size can all impact liquidity. 2. Liquid investments have a narrow spread between the bid (purchase) and offer (sale) price. 3. Illiquid investments may face marked-to market losses when forced into a sale. 13

14 YIELD HARD TIMES 1.20% 1.00% Historical Treasury Yield Comparison 10/1/ /3/ % 0.60% 0.40% 0.20% 0.00% 3 Month 6 Month 1 Year 2 Year 3 Year 4 Year 5 Year 14

15 YIELD 3 COMMON OBSERVATIONS 1. As the global financial crisis grinds on and on, yields can certainly head lower. 2. When yields eventually head higher, it may end badly for investors who have overly extended their portfolios. 3. No one has any idea when the shift to higher rates will occur! 15

16 YIELD STAYING FOCUSED ON THE LONG RUN Using a benchmark keeps you focused on your long-term investment goals. A good benchmark has the following traits: 1. Appropriate 2. Reflective of Current Investment Opinions 3. Measurable 4. Specified In Advance Common Benchmarks for Public Investments Duration Yield LGIP (COLOTRUST) 1 day 0.26% Six Month T-Bill 6 month 0.14% 12 Month T-Bill 12 month 0.16% Merrill Lynch 1-3 Year Treasury Index 1.88 year 0.25% Merrill Lynch 1-5 Year Treasury Index 2.73 year 0.34% 16

17 Annual Return Negative Quarters YIELD COMPARATIVE BENCHMARKS Annual Return Index Comparison Ten Year Period Ended June 30, % % % % % 2.00% % % 3 Mnth Tbill 6 Mnth Tbill 12 Mnth Tbill 1-3 Yr UST 1-3 Yr UST/Agy 1-3 Yr Corp/Gov 3-5 Yr UST 5-7 Yr UST 0 17

18 YIELD DON T FIGHT THE FED Due to historically low rates, it is tempting to eschew investing for any duration. With the benefit of 20/20 hindsight, it is easy to see why avoiding fixed-income investments has not been a successful strategy over the past few years. Market distortions in play from current monetary and fiscal policy make it extremely difficult to determine the perfect time to invest. Staying true to a benchmark will reduce the urge to time the market. 18

19 CONCLUSIONS 1. Safety Do your research, go beyond the ratings, look at market signals for assistance. 2. Liquidity Know your cash flow, monitor your investment ladder, periodically mark your portfolio to market. 3. Yield Establish a benchmark, periodically evaluate appropriateness, focus on the long-run. 19

20 PUBLIC TRUST ADVISORS ~ DISCLOSURE This presentation is for informational purposes only. All information is assumed to be correct but the accuracy has not been confirmed and therefore is not guaranteed to be correct. Information is obtained from third party sources that may or may not be verified. The information presented should not be used in making any investment decisions. The presentation is not a recommendation to buy, sell, implement or change any securities or investment strategy, function or process. Any financial and/or investment decision should be made only after considerable research, consideration and involvement with an experienced professional engaged for the specific purpose. All comments and discussion presented are purely based on opinion and assumptions, not fact, and these assumptions may or may not be correct based on foreseen and unforeseen events. All calculations and results presented and are for discussion purposes only and should not be used for making and calculations and/or decisions. Of course past performance is not an indication of future performance. 20

Investment insight. Fixed income the what, when, where, why and how TABLE 1: DIFFERENT TYPES OF FIXED INCOME SECURITIES. What is fixed income?

Investment insight. Fixed income the what, when, where, why and how TABLE 1: DIFFERENT TYPES OF FIXED INCOME SECURITIES. What is fixed income? Fixed income investments make up a large proportion of the investment universe and can form a significant part of a diversified portfolio but investors are often much less familiar with how fixed income

More information

Meteor Asset Management

Meteor Asset Management Meteor Asset Management Counterparty Credit Default Swap Rates 27 th January 2012 This information is for professional investors only and should not be presented to, or relied upon by, private investors.

More information

Section 4: Treasury Management Strategy, Investment Strategy, Prudential Indicators and Minimum Revenue Provision Policy 2014/15

Section 4: Treasury Management Strategy, Investment Strategy, Prudential Indicators and Minimum Revenue Provision Policy 2014/15 Section 4: Treasury Management Strategy, Investment Strategy, Prudential Indicators and Minimum Revenue Provision Policy 2014/15 Appendix E Annual Investment Strategy 2014/15 1. The Annual Investment Strategy

More information

No. 1 BANK OF RUSSIA FOREIGN EXCHANGE ASSET MANAGEMENT REPORT. Moscow

No. 1 BANK OF RUSSIA FOREIGN EXCHANGE ASSET MANAGEMENT REPORT. Moscow No. 1 2015 FOREIGN EXCHANGE ASSET MANAGEMENT REPORT Moscow Bank of Russia Foreign Exchange Asset Management Report No. 1 (33) 2015 Reference to the Central Bank of the Russian Federation is mandatory in

More information

Understanding Fixed Income

Understanding Fixed Income Understanding Fixed Income 2014 AMP Capital Investors Limited ABN 59 001 777 591 AFSL 232497 Understanding Fixed Income About fixed income at AMP Capital Our global presence helps us deliver outstanding

More information

Why high-yield municipal bonds may be attractive in today s market environment

Why high-yield municipal bonds may be attractive in today s market environment Spread Why high-yield municipal bonds may be attractive in today s market environment February 2014 High-yield municipal bonds may be attractive given their: Historically wide spreads Attractive prices

More information

Hot Topics in Financial Markets Lecture 1: The Libor Scandal

Hot Topics in Financial Markets Lecture 1: The Libor Scandal Hot Topics in Financial Markets Lecture 1: The Libor Scandal Spot and Forward Interest Rates Libor Libor-Dependent Financial Instruments The Scandal 2 Spot Interest Rates Bond Market The yield on a bond

More information

Presentation to the City of Los Angeles Investment Advisory Committee

Presentation to the City of Los Angeles Investment Advisory Committee CHANDLER ASSET MANAGEMENT Presentation to the City of Los Angeles Investment Advisory Committee For the Month of March 2008 Economic Outlook 2 Impact on LA Bond yields were lower in March. The market s

More information

JPMorgan Global Bond Fund. Global investing - A less volatile choice NEW. SFC-authorised global bond fund with RMB-hedged share classes*!

JPMorgan Global Bond Fund. Global investing - A less volatile choice NEW. SFC-authorised global bond fund with RMB-hedged share classes*! AVAILABLE FOR PUBLIC CIRCULATION NEW JPMorgan Global Bond Fund December 2015 Asset Management Company of the Year 2014 Fundamental Strategies, Asia + Important information 1. The Fund invests primarily

More information

Managing Risk/Reward in Fixed Income

Managing Risk/Reward in Fixed Income INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring

More information

FTSE Global Bond Index Series

FTSE Global Bond Index Series FTSE Global Bond Index Series FTSE GLOBAL BOND INDEX SERIES The FTSE Global Bond Index Series is a series of fixed income indices covering the principal government bond markets and selected corporate markets.

More information

Seix Total Return Bond Fund

Seix Total Return Bond Fund Summary Prospectus Seix Total Return Bond Fund AUGUST 1, 2015 (AS REVISED FEBRUARY 1, 2016) Class / Ticker Symbol A / CBPSX R / SCBLX I / SAMFX IS / SAMZX Before you invest, you may want to review the

More information

Bond Market Insights October 10, 2014

Bond Market Insights October 10, 2014 Bond Market Insights October 10, 2014 by John Simms, CFA and Jerry Wiesner, CFA General Bond Market Treasury yields rose in September as prices fell. Yields in the belly of the curve (5- to 7-year maturities)

More information

Best Practice framework EGB Market

Best Practice framework EGB Market Best Practice framework EGB Market Mathieu Gaveau ECB Bond Market Contact Group, 21 October 2014 EGBs: Primary Dealership Secure System The system of Primary Dealerships supports security, stability and

More information

European Union trading fees are still +113% higher than similar fees within the US

European Union trading fees are still +113% higher than similar fees within the US European Union trading fees are still +113% higher than similar fees within the US Despite large decreases in brokerage commission rates across Europe, all-in trading costs remain high within European

More information

Vanguard UK Short-Term Investment Grade Bond Index Fund

Vanguard UK Short-Term Investment Grade Bond Index Fund Vanguard UK Short-Term Investment Grade Bond Index Fund May 2013 LAUNCH BRIEFING Fund summary The Vanguard UK Short-Term Investment Grade Bond Index Fund expands the low-cost asset allocation building

More information

PROTECTING YOUR PORTFOLIO WITH BONDS

PROTECTING YOUR PORTFOLIO WITH BONDS Your Global Investment Authority PROTECTING YOUR PORTFOLIO WITH BONDS Bond strategies for an evolving market Market uncertainty has left many investors wondering how to protect their portfolios during

More information

Fresno County Employees Retirement System Core Plus & MSFD

Fresno County Employees Retirement System Core Plus & MSFD Fresno County Employees Retirement System Core Plus & MSFD November 2, 2011 PRESENTED BY Stephanie S. Lord, CFA, CIC Vice President, Client Portfolio Manager One Financial Center Boston, Massachusetts

More information

Capital preservation strategy update

Capital preservation strategy update Client Education Summit 2012 Capital preservation strategy update Head of Institutional Fixed Income Investments, Americas October 9, 2012 Topics for discussion 1 Capital preservation strategies 2 3 4

More information

Update Presentation with Larry Holzenthaler. January 2016

Update Presentation with Larry Holzenthaler. January 2016 Update Presentation with Larry Holzenthaler January 2016 Reminder Loans Have First Priority Loans have priority over Bonds, Preferred Shares, Common Equity Most senior tranche of the capital structure

More information

Fixed-income opportunity: Short duration high yield

Fixed-income opportunity: Short duration high yield March 2014 Insights from: An income solution for a low or rising interest-rate environment Generating income is a key objective for many investors, and one that is increasingly difficult to achieve in

More information

Chapter 3 Fixed Income Securities

Chapter 3 Fixed Income Securities Chapter 3 Fixed Income Securities Road Map Part A Introduction to finance. Part B Valuation of assets, given discount rates. Fixed-income securities. Stocks. Real assets (capital budgeting). Part C Determination

More information

Madison Investment Advisors LLC

Madison Investment Advisors LLC Madison Investment Advisors LLC Intermediate Fixed Income SELECT ROSTER Firm Information: Location: Year Founded: Total Employees: Assets ($mil): Accounts: Key Personnel: Matt Hayner, CFA Vice President

More information

CDS IndexCo. LCDX Primer

CDS IndexCo. LCDX Primer LCDX Primer This document aims to outline the key characteristics of LCDX, and give investors the information they need to trade the index with confidence. What is LCDX? LCDX is a tradeable index with

More information

TD ASSET MANAGEMENT USA FUNDS INC. TDAM U.S. Equity Shareholder Yield Fund. TDAM U.S. Large Cap Core Equity Fund

TD ASSET MANAGEMENT USA FUNDS INC. TDAM U.S. Equity Shareholder Yield Fund. TDAM U.S. Large Cap Core Equity Fund TD ASSET MANAGEMENT USA FUNDS INC. TDAM U.S. Equity Shareholder Yield Fund TDAM U.S. Large Cap Core Equity Fund TDAM Global Equity Shareholder Yield Fund TDAM Global All Cap Fund TDAM U.S. Small-Mid Cap

More information

Separately Managed Accounts in Counterparty Risk Management

Separately Managed Accounts in Counterparty Risk Management Separately Managed Accounts in Counterparty Risk Management Abstract Counterparty risk management should have an integrated framework. While utilizing a separately managed account may help reduce a corporation

More information

The Empirical Approach to Interest Rate and Credit Risk in a Fixed Income Portfolio

The Empirical Approach to Interest Rate and Credit Risk in a Fixed Income Portfolio www.empirical.net Seattle Portland Eugene Tacoma Anchorage March 27, 2013 The Empirical Approach to Interest Rate and Credit Risk in a Fixed Income Portfolio By Erik Lehr In recent weeks, market news about

More information

PIMCO Foreign Bond Fund (U.S. Dollar- Hedged)

PIMCO Foreign Bond Fund (U.S. Dollar- Hedged) Your Global Investment Authority PIMCO Foreign Bond Fund (U.S. Dollar- Hedged) SUMMARY PROSPECTUS July 31, 2015 (as supplemented December 1, 2015) Share Class: Inst P Admin D A C R Ticker: PFORX PFBPX

More information

Credit Ratings vs. Market Pricing

Credit Ratings vs. Market Pricing DIMENSIONAL FUND ADVISORS Special Posting June 2012 The financial media treated the recent credit-ratings downgrade of fifteen major US and European banks by Moody s Investors Service as big news. But

More information

M&G Corporate Bond Fund

M&G Corporate Bond Fund Quarterly Review M&G Corporate Bond Fund Third quarter 2015 Fund manager Richard Woolnough Overview A general risk-off tone prevailed in the third quarter amid significant volatility in risk markets, driving

More information

HSBC Funds Prospectus February 27, 2015

HSBC Funds Prospectus February 27, 2015 HSBC Global Asset Management (USA) Inc. HSBC Funds Prospectus February 27, 2015 EMERGING MARKETS FUNDS Class A Class I Class S HSBC Emerging Markets Debt Fund HCGAX HCGIX HBESX HSBC Emerging Markets Local

More information

Athens University of Economics and Business

Athens University of Economics and Business Athens University of Economics and Business MSc in International Shipping, Finance and Management Corporate Finance George Leledakis An Overview of Corporate Financing Topics Covered Corporate Structure

More information

Bonds and Yield to Maturity

Bonds and Yield to Maturity Bonds and Yield to Maturity Bonds A bond is a debt instrument requiring the issuer to repay to the lender/investor the amount borrowed (par or face value) plus interest over a specified period of time.

More information

NASDAQ LadderRite USD Corporate Bond Indexes

NASDAQ LadderRite USD Corporate Bond Indexes NASDAQ LadderRite USD Corporate Bond Indexes OVERVIEW NASDAQ LadderRite USD Corporate Bond Indexes are diversified, laddered bond portfolios. Each NASDAQ LadderRite USD Corporate Bond Index tracks a diversified

More information

The case for high yield

The case for high yield The case for high yield Jennifer Ponce de Leon, Vice President, Senior Sector Leader Wendy Price, Director, Institutional Product Management We believe high yield is a compelling relative investment opportunity

More information

EAST AYRSHIRE COUNCIL CABINET 23 NOVEMBER 2011 TREASURY MANAGEMENT UPDATE ON 2011/12 STRATEGY POSITION

EAST AYRSHIRE COUNCIL CABINET 23 NOVEMBER 2011 TREASURY MANAGEMENT UPDATE ON 2011/12 STRATEGY POSITION EAST AYRSHIRE COUNCIL CABINET 23 NOVEMBER 2011 TREASURY MANAGEMENT UPDATE ON 2011/12 STRATEGY POSITION Report by Executive Director of Finance and Corporate Support 1 PURPOSE OF REPORT 1.1 The purpose

More information

Opacity, Credit Default Swap, and Financial Crisis

Opacity, Credit Default Swap, and Financial Crisis Opacity, Credit Default Swap, and Financial Crisis Daniel Pu Liu Walton College of Business Yingying Shao Towson University, CFA CFA Society of Arkansas Meeting October 13, 2011 Does Transparency (or the

More information

Credit Crunch A Realignment of Risk Management in Banking after(?) the Crisis

Credit Crunch A Realignment of Risk Management in Banking after(?) the Crisis Credit Crunch A Realignment of Risk Management in Banking after(?) the Crisis 3 rd European Security Conference Initiative, July 2, 2008 Gottfried Tröstl Seite 1 Seite 2 How did it come? 2000: burst of

More information

UNLOCKING VALUE IN EUROPEAN HIGH YIELD

UNLOCKING VALUE IN EUROPEAN HIGH YIELD UNLOCKING VALUE IN EUROPEAN HIGH YIELD 26 March 2015 Mike Della Vedova T. Rowe Price European High Yield Portfolio Manager About T. Rowe Price As of 31 December 2014 Figures Shown in Euros T. ROWE PRICE:

More information

Glossary of Investment Terms

Glossary of Investment Terms online report consulting group Glossary of Investment Terms glossary of terms actively managed investment Relies on the expertise of a portfolio manager to choose the investment s holdings in an attempt

More information

Impact of QE on Fixed Income

Impact of QE on Fixed Income Impact of QE on Fixed Income David Greene, Client Portfolio Manager Pioneer Investments Unconstrained Approaches Potential returns mean investors have to be more opportunistic 5 0 Expected return based

More information

The timeless (and timely) case for high-yield bonds

The timeless (and timely) case for high-yield bonds INCOME EATON VANCE Looking beyond traditional sources of yield MARCH 2016 TIMELY THINKING The timeless (and timely) case for high-yield bonds SUMMARY High-yield bonds occupy a special capital market niche:

More information

Markit iboxx Bond Indices

Markit iboxx Bond Indices Markit iboxx Bond Indices Content. Valuations. Processing. Distribution. www.markit.com. Introduction Markit is the leading independent fixed income index provider committed to open and transparent markets.

More information

HSBC World Selection Funds April 30, 2016. Monthly Factsheets Class A and C Shares. Investment products: ARE NOT A BANK ARE NOT DEPOSIT OR

HSBC World Selection Funds April 30, 2016. Monthly Factsheets Class A and C Shares. Investment products: ARE NOT A BANK ARE NOT DEPOSIT OR HSBC World Selection Funds April 30, 2016 Monthly Factsheets Class A and C Shares Aggressive Strategy Fund Balanced Strategy Fund Moderate Strategy Fund Conservative Strategy Fund Income Strategy Fund

More information

Long duration bond benchmarks for corporate pension plans

Long duration bond benchmarks for corporate pension plans By: Yoshie Phillips, CFA, Senior Research Analyst OCTOBER 2011 Long duration bond benchmarks for corporate pension plans Issue: With the growth of liability-driven investing (LDI), many corporate pension

More information

Federated New York Municipal Income Fund

Federated New York Municipal Income Fund Summary Prospectus October 31, 2015 Share Class A B Ticker NYIFX NYIBX Federated New York Municipal Income Fund A Portfolio of Federated Municipal Securities Income Trust Before you invest, you may want

More information

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2015 Condensed Interim Consolidated Balance Sheet As at December 31, 2015 (CAD millions) As at December

More information

BulletShares Bond Indices. BulletShares USD Corporate Bond Indices. Index Description

BulletShares Bond Indices. BulletShares USD Corporate Bond Indices. Index Description BulletShares USD Corporate Bond Indices Index Description BulletShares USD Corporate Bond Indices provide maturity targeted exposure to the U.S. dollar-denominated investment grade corporate bond market.

More information

Floating Rate Loans ( Senior Loans, Bank Loans, Leveraged Loans ) Senior (Unsecured) Debt Traditional Bonds, Convertible Bonds

Floating Rate Loans ( Senior Loans, Bank Loans, Leveraged Loans ) Senior (Unsecured) Debt Traditional Bonds, Convertible Bonds The Case for Loans Market Commentary February 2016 WHAT ARE FLOATING RATE LOANS? Also commonly referred to as senior secured loans or bank loans, floating rate loans are made by large commercial or investment

More information

Is it time to hire a professional to manage your bonds?

Is it time to hire a professional to manage your bonds? Is it time to hire a professional to manage your bonds? Today s bond markets are more complex Finding the right bonds can be difficult. The bond markets are large and complex, and it takes a lot of homework

More information

FTSE All-World ex Fossil Fuels Index Series

FTSE All-World ex Fossil Fuels Index Series FTSE FACTSHEET FTSE All-World ex Fossil Fuels Index Series Data as at: 31 August 2015 bmktitle1 Market participants are increasingly looking to manage carbon exposure in their investments, and reduce write-off

More information

I. Estimating Discount Rates

I. Estimating Discount Rates I. Estimating Discount Rates DCF Valuation Aswath Damodaran 1 Estimating Inputs: Discount Rates Critical ingredient in discounted cashflow valuation. Errors in estimating the discount rate or mismatching

More information

Market Implied Ratings FAQ Updated: June 2010

Market Implied Ratings FAQ Updated: June 2010 Market Implied Ratings FAQ Updated: June 2010 1. What are MIR (Market Implied Ratings)? Moody s Analytics Market Implied Ratings translate prices from the CDS, bond and equity markets into standard Moody

More information

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS With about $713 billion in assets, the bank loan market is roughly half the size of the high yield market. However, demand

More information

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board September 30, 2015 Condensed Interim Consolidated Balance Sheet As at September 30, 2015 As at September 30,

More information

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS. Why does the bank loan sector remain so attractive?

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS. Why does the bank loan sector remain so attractive? FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS Bank loans present a compelling income opportunity and a portfolio diversifier that provides protection against traditional

More information

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return

More information

The table below shows Capita Asset Services forecast of the expected movement in medium term interest rates:

The table below shows Capita Asset Services forecast of the expected movement in medium term interest rates: Annex A Forecast of interest rates as at September 2015 The table below shows Capita Asset Services forecast of the expected movement in medium term interest rates: NOW Sep-15 Dec-15 Mar-16 Jun-16 Sep-16

More information

CITIZENS PROPERTY INSURANCE CORPORATION. INVESTMENT POLICY for. Claims Paying Fund (Taxable)

CITIZENS PROPERTY INSURANCE CORPORATION. INVESTMENT POLICY for. Claims Paying Fund (Taxable) CITIZENS PROPERTY INSURANCE CORPORATION INVESTMENT POLICY for Claims Paying Fund (Taxable) INTRODUCTION Citizens is a government entity whose purpose is to provide property and casualty insurance for those

More information

Leader Short-Term Bond Fund. Leader Total Return Fund

Leader Short-Term Bond Fund. Leader Total Return Fund Leader Short-Term Bond Fund Institutional Shares: Investor Shares: Class A Shares: Class C Shares: LCCIX LCCMX LCAMX LCMCX Leader Total Return Fund Institutional Shares: Investor Shares: Class A Shares:

More information

Tier 2 Fixed Income Roadshow London / New York / Boston / Chicago

Tier 2 Fixed Income Roadshow London / New York / Boston / Chicago London / New York / Boston / Chicago Jonathan Blake, Global Head of Debt Issuance Friedrich Karl Stroedter, Head of Debt IR & Rating Agency Relations May 2013 at a glance FY2012 Key facts Revenues per

More information

CHAPTER 9 DEBT SECURITIES. by Lee M. Dunham, PhD, CFA, and Vijay Singal, PhD, CFA

CHAPTER 9 DEBT SECURITIES. by Lee M. Dunham, PhD, CFA, and Vijay Singal, PhD, CFA CHAPTER 9 DEBT SECURITIES by Lee M. Dunham, PhD, CFA, and Vijay Singal, PhD, CFA LEARNING OUTCOMES After completing this chapter, you should be able to do the following: a Identify issuers of debt securities;

More information

Designing The Ideal Investment Policy Presented To The Actuaries Club of the Southwest & the Southeastern Actuarial Conference

Designing The Ideal Investment Policy Presented To The Actuaries Club of the Southwest & the Southeastern Actuarial Conference Designing The Ideal Investment Policy Presented To The Actuaries Club of the Southwest & the Southeastern Actuarial Conference Presented by: Greg Curran, CFA & Michael Kelch, CFA AAM - Insurance Investment

More information

NPH Fixed Income Research Update. Bob Downing, CFA. NPH Senior Investment & Due Diligence Analyst

NPH Fixed Income Research Update. Bob Downing, CFA. NPH Senior Investment & Due Diligence Analyst White Paper: NPH Fixed Income Research Update Authored By: Bob Downing, CFA NPH Senior Investment & Due Diligence Analyst National Planning Holdings, Inc. Due Diligence Department National Planning Holdings,

More information

Impact of rising interest rates on preferred securities

Impact of rising interest rates on preferred securities Impact of rising interest rates on preferred securities This report looks at the risks preferred investors may face in a rising-interest-rate environment. We are currently in a period of historically low

More information

Global Markets Update Signature Global Advisors

Global Markets Update Signature Global Advisors SIGNATURE GLOBAL ADVISORS MARKETS UPDATE AUGUST 3, 2011 The following comments come from an internal interview with Chief Investment Officer, Eric Bushell. They represent Signature s current market views

More information

GUIDE TO FIXED INCOME INVESTING

GUIDE TO FIXED INCOME INVESTING GUIDE TO FIXED INCOME INVESTING Table of Contents... 3... 4... 6... 9...13... 17... 21 2 addressing the corporate treasury challenge From start-ups to multi-billion dollar revenue generating corporations,

More information

Investment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd

Investment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd Investment Risk Management Under New Regulatory Framework Steven Yang Yu Muqiu Liu Redington Ltd 06 May 2015 Premiums written in billion RMB Dramatic growth of insurance market 2,500 Direct premium written

More information

May 1, 2015 as amended June 1, 2015

May 1, 2015 as amended June 1, 2015 INSTITUTIONAL INVESTOR May 1, 2015 as amended June 1, 2015 DATE TARGET FUNDS MyDestination 2005 Fund MyDestination 2015 Fund MyDestination 2025 Fund MyDestination 2035 Fund MyDestination 2045 Fund MyDestination

More information

Drobny Guest Research September 12, 2012

Drobny Guest Research September 12, 2012 Drobny Guest Research September 12, 2012 3701 Highland Ave, Suite 302, Manhattan Beach, CA 90266 andres@drobny.com (310) 545-6996 ------------------------------------------------------------------------------------------------------------

More information

FNCE 301, Financial Management H Guy Williams, 2006

FNCE 301, Financial Management H Guy Williams, 2006 REVIEW We ve used the DCF method to find present value. We also know shortcut methods to solve these problems such as perpetuity present value = C/r. These tools allow us to value any cash flow including

More information

SURVEY OF INVESTMENT REGULATION OF PENSION FUNDS. OECD Secretariat

SURVEY OF INVESTMENT REGULATION OF PENSION FUNDS. OECD Secretariat SURVEY OF INVESTMENT REGULATION OF PENSION FUNDS OECD Secretariat Methodological issues The information collected concerns all forms of quantitative portfolio restrictions applied to pension funds in OECD

More information

CHAPTER 2. Asset Classes. the Money Market. Money market instruments. Capital market instruments. Asset Classes and Financial Instruments

CHAPTER 2. Asset Classes. the Money Market. Money market instruments. Capital market instruments. Asset Classes and Financial Instruments 2-2 Asset Classes Money market instruments CHAPTER 2 Capital market instruments Asset Classes and Financial Instruments Bonds Equity Securities Derivative Securities The Money Market 2-3 Table 2.1 Major

More information

Danmarks Nationalbank. Danish Government Debt Management Policy

Danmarks Nationalbank. Danish Government Debt Management Policy Danmarks Nationalbank Danish Government Debt Management Policy Strategy 2nd half of 2008 2008 Published 20 June 2008 Translation 2 Key issues, 2 nd half of 2008 In the years to come, continuing government

More information

METHODOLOGY FOR ESTABLISHING CREDIT CRITERIA The follow methodology has been used to establish the credit criteria for an organisation or group.

METHODOLOGY FOR ESTABLISHING CREDIT CRITERIA The follow methodology has been used to establish the credit criteria for an organisation or group. APPENDIX C METHODOLOGY FOR ESTABLISHING CREDIT CRITERIA The follow methodology has been used to establish the credit criteria for an organisation or group. All Countries where investments are placed should

More information

Deutsche Bank Stefan Krause

Deutsche Bank Stefan Krause Deutsche Bank Stefan Krause Chief Financial Officer Deutsche Bank German & Austrian Corporate Conference Frankfurt, 23 June 2009 Agenda 1 Strength through the crisis 2 Well positioned to stay strong 3

More information

A Best Practice Oversight Approach for Securities Lending

A Best Practice Oversight Approach for Securities Lending A Best Practice Oversight Approach for Securities Lending At its core, securities lending is an investment overlay strategy. It s an investment product that complements existing investment strategies allowing

More information

Opportunities and risks in credit. Michael Korber Head of Credit

Opportunities and risks in credit. Michael Korber Head of Credit Opportunities and risks in credit Michael Korber Head of Credit August 2009 Overview Fixed income assets, characteristics and risks Where the current opportunity is in fixed income markets How to access

More information

Brown Advisory WMC Strategic European Equity Fund Class/Ticker: Institutional Shares / BAFHX Investor Shares / BIAHX Advisor Shares / BAHAX

Brown Advisory WMC Strategic European Equity Fund Class/Ticker: Institutional Shares / BAFHX Investor Shares / BIAHX Advisor Shares / BAHAX Summary Prospectus October 30, 2015 Brown Advisory WMC Strategic European Equity Fund Class/Ticker: Institutional Shares / BAFHX Investor Shares / BIAHX Advisor Shares / BAHAX Before you invest, you may

More information

ETF Investment Solutions How to Target the Bond Market s Sweet Spot with Crossover Bonds

ETF Investment Solutions How to Target the Bond Market s Sweet Spot with Crossover Bonds ETF Investment Solutions How to Target the Bond Market s Sweet Spot with Crossover Bonds CONTENTS I. ASSET CLASS BACKGROUND What Are Crossover Bonds? II. CHARACTERISTICS OF CROSSOVER BONDS What Are the

More information

Investment Vehicles INVESTMENT VEHICLES

Investment Vehicles INVESTMENT VEHICLES Index Investment Vehicles Methods of Accounting GASB 31 Risks to Portfolios Developing an Investment Strategy GASB 40 Total Return GASB Exposure Draft on Fair Value 0 Investment Vehicles INVESTMENT VEHICLES

More information

Evergreen INSTITUTIONAL MONEY MARKET FUNDS. Prospectus July 1, 2009

Evergreen INSTITUTIONAL MONEY MARKET FUNDS. Prospectus July 1, 2009 Evergreen INSTITUTIONAL MONEY MARKET FUNDS Prospectus July 1, 2009 Evergreen Institutional 100% Treasury Money Market Fund Evergreen Institutional Money Market Fund Evergreen Institutional Municipal Money

More information

VAKIFBANK GLOBAL ECONOMY WEEKLY

VAKIFBANK GLOBAL ECONOMY WEEKLY VAKIFBANK GLOBAL ECONOMY WEEKLY Is Italy Going To Be The New Weak Link After Greece? T. Vakıflar Bankası T.A.O 25 July 2011 No: 27 1 Vakıfbank Economic Research Introduction... Debt crisis which has threatened

More information

April 2016. Investment case: municipal bonds

April 2016. Investment case: municipal bonds April 2016 Investment case: municipal bonds ETF disclosure This material does not constitute an offer to sell or solicitation to buy any security, including shares of any Fund. An offer or solicitation

More information

Chapter 3. Fixed Income Securities

Chapter 3. Fixed Income Securities IE 5441 1 Chapter 3. Fixed Income Securities IE 5441 2 Financial instruments: bills, notes, bonds, annuities, futures contracts, mortgages, options,...; assortments that are not real goods but they carry

More information

To receive highlights of the information on this page delivered directly to your inbox, please register here.

To receive highlights of the information on this page delivered directly to your inbox, please register here. Fitch Risk and Performance Monitor The following commentary is part of a periodic analysis of recent Credit Default Swap market activity and results generated by Fitch's proprietary Market Implied Ratings

More information

Interactive Brokers Group Strength and Security

Interactive Brokers Group Strength and Security Interactive Brokers Group Strength and Security When placing your money with a broker, you need to make sure your broker is secure and can endure through good and bad times. The financial statements of

More information

Federated Quality Bond Fund II

Federated Quality Bond Fund II Summary Prospectus April 30, 2015 Share Class Primary Federated Quality Bond Fund II A Portfolio of Federated Insurance Series Before you invest, you may want to review the Fund s Prospectus, which contains

More information

American Options and Callable Bonds

American Options and Callable Bonds American Options and Callable Bonds American Options Valuing an American Call on a Coupon Bond Valuing a Callable Bond Concepts and Buzzwords Interest Rate Sensitivity of a Callable Bond exercise policy

More information

Prospectus Baird Funds

Prospectus Baird Funds Prospectus Baird Funds May 1, 2014 Baird Ultra Short Bond Fund (Institutional Class: BUBIX) (Investor Class: BUBSX) Baird Short-Term Bond Fund (Institutional Class: BSBIX) (Investor Class: BSBSX) Baird

More information

(expenses that you pay each year as a percentage of the value of your investment)

(expenses that you pay each year as a percentage of the value of your investment) July 31, 2015 SUMMARY PROSPECTUS SAAT Core Market Strategy Allocation Fund (SKTAX) Class A Before you invest, you may want to review the Fund s prospectus, which contains information about the Fund and

More information

Why Credit Suisse? Private Banking & Wealth Management 3Q2014

Why Credit Suisse? Private Banking & Wealth Management 3Q2014 Why Credit Suisse? Private Banking & Wealth Management 3Q2014 October 2014 Disclaimer Cautionary statement regarding forward-looking statements This presentation contains forward-looking statements that

More information

Bond Market Perspectives

Bond Market Perspectives LPL FINANCIAL RESEARCH Bond Market Perspectives March 26, 2013 High-Yield Bonds and the Credit Cycle Anthony Valeri, CFA Market Strategist LPL Financial Highlights More speculative issuance has increased

More information

GE Capital. Long Term Debt Overview. Unsecured debt with maturities from 1-30 years

GE Capital. Long Term Debt Overview. Unsecured debt with maturities from 1-30 years Long Term Debt Overview Unsecured debt with maturities from 1-30 years "This document contains "forward-looking statements" within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking

More information

The Repo Market in Australia

The Repo Market in Australia The Repo Market in Australia David Wakeling and Ian Wilson* Repurchase agreements (repos) are a financing instrument widely used by holders of debt securities and play an important role in assisting the

More information

Fixed Income Strategy Quarterly April 2015

Fixed Income Strategy Quarterly April 2015 Doucet Asset Management Fixed Income Strategy Quarterly April 2015 The first quarter of 2015 was a fairly uneventful one. Across the world, the pullback in yields we witnessed in 2014 continued; however,

More information

GREENWICH ASSOCIATES. 2013 Greenwich Leaders: European Corporate Banking

GREENWICH ASSOCIATES. 2013 Greenwich Leaders: European Corporate Banking 0 Leaders: European Corporate ing February 0 The European sovereign debt crisis has created a twotiered market in corporate banking and cash management: s from troubled periphery nations are struggling

More information