PGIM Fixed Income - The Moving Goalposts of European Bank Failures
Recent bank failures in Spain and Italy have tested the Eurozone’s bail-in regime and demonstrated that its application remains a moving target with broad ramifications for bondholders throughout the capital structure.
PGIM Fixed Income - 3rd Quarter Outlook
With the second half of 2017 underway, PGIM Fixed Income looks at the developing pattern of returns in the bond market, takes a tour of the risks keeping them up at night, and explores what might affect the solid growth momentum across the emerging markets.
PGIM Fixed Income - Fed Shift Set To Muddy MBS Waters
With the Fed widely expected to begin tapering its MBS reinvestments in late 2017, the sector not only stands to see one of its largest sources of demand retreat from the market, but it could also lose a filter that has absorbed much of the sector’s optionality risk over the past several years.
PGIM Fixed Income - The Hidden Cost of Mismatching Duration
Mismatching pension liability duration is not a costless bet on rising interest rates. Most asset allocation approaches do not include an estimate of the term risk premium and, in not doing so, exclude the expected cost of unhedged interest rate risk. This paper explores how to estimate the term risk premium and the ‘cost’ of a duration mismatch.