A Q&A on the UK LDI Unwind
The following provides our perspective on the UK government bond (gilt) crisis and some of its near-term ramifications, including whether something similar could occur in the U.S.
*Based on managing the Long Duration (Government/Credit Custom) Composite, from inception July 1, 1998 to the date it closed July 31, 2020.
**Based on managing the U.S. Long Duration Corporate Fixed Income Composite, from inception November 1, 2003 to the date it closed June 30, 2018.
Source: PGIM Fixed Income. Assets under management as of June 30, 2021. Excludes assets managed for proprietary and retail clients. Assets under management are based on company estimates and are subject to change.
Bloomberg Barclays U.S. Long Government/Credit Index covers USD-denominated and non-convertible, publicly issued U.S. Government or investment-grade securities that are fixed rate or step ups. Securities must have a maturity of 10 years or greater and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Bloomberg Barclays U.S. Long Corporate Bond Index covers USD-denominated and non-convertible, publicly issued securities that are fixed-rate or step ups. Securities must have a maturity of 10 years and be rated investment-grade (Baa3/ BBB-/BBB-) or better using the middle rating of Moody’s, S&P, and Fitch.
Bloomberg Barclays U.S. Long Credit Index is comprised of publicly issued U.S. corporate debt and specified foreign debentures and secured notes denominated in USD that have at least 10 years until final maturity and are rated investment-grade (Baa3/BBB-/BBB- or better) using the middle rating of Moody’s, S&P, and Fitch, respectively.
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