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- Archive - Interest Rates & Fixed Income Opportunities
Fixed Income Opportunities
- CMBS Interest Only (IO) Securities The Relative Value Proposition
- RMBS—After the Flood
- The Art and Science of CLO Analysis
- Emerging Markets Debt With the Fed in Play
- Reinventing the Front End
- Adjusting to a World of Surplus Crude
- Portable Alpha 2.0
- Back to the Futures
- Why Global Loans?
- A Closer Look At Calls
Gary Horbacz, Principal, Structured Product Team, and Jason Pan, Analyst, Prudential Fixed Income, April 2016
Gary Horbacz, Principal, Structured Product Team, and Jason Pan, Analyst, shine a spotlight on an often overlooked fixed income sector: CMBS Interest Only Securities. In the paper, they explain why select CMBS IOs offer a favorable risk-return profile in the current environment.
John Vibert, Managing Director, Co-Head, Structured Products, Prudential Fixed Income, October 2015
Non-agency RMBS have delivered standout performance, but as spreads have tightened, investors have increasingly questioned whether value remains. Our response to this question is an emphatic "yes." The legacy non-agency RMBS market remains a $650+ billion repository of yield and spread in a fixed income landscape that is increasingly devoid of both.
John Di Paolo, CFA, FSA, Principal, Structured Product Research Team, Brian Juliano, Principal, Portfolio Manager, Leveraged Finance Team and Edwin Wilches, CFA, Vice President, Portfolio Manager, Leveraged Finance Team, Prudential Fixed Income, September 2015
As a nuanced asset class, successful CLO investing requires strength in both quantitative structured credit and traditional corporate credit analysis—two disparate competencies not typically found in most investors. CLO tranche analysis, therefore, comprises a blend of art and science. This paper describes both the qualitative and quantitative steps that shape Prudential Fixed Income’s investment process for CLO tranches.
Matthew Duda, Portfolio Specialist, Emerging Markets Debt, Prudential Fixed Income, September 2015
There are still many unknowns surrounding the timing and magnitude of the next U.S. Federal Reserve rate hiking cycle and its potential impact on emerging markets (EM) debt. In this paper, Matthew Duda, Portfolio Specialist, discusses why he believes the emerging markets debt markets are prepared for a Fed liftoff and could perform relatively well amid a hiking cycle.
Joseph D'Angelo,Managing Director, Head of Money Markets, Prudential Fixed Income, July 2015
Multiple shocks are set to descend on the front end of the fixed income market over the course of the next 18 months. The uncertainty of the aftermath poses a multi-trillion dollar question for a predominantly stable sector, the financial crisis notwithstanding. In this paper, we present an outcome that could dramatically alter the deployment of capital in the front end and create a brand new world for investors to navigate just as the Federal Reserve appears poised to lift short-term interest rates.
Brian Barnhurst, CFA, Principal, High Yield Credit Analyst and David Winans, Principal, Investment Grade Corporate Bond Analyst, Prudential Fixed Income, May 2015
The arrival and subsequent exploitation of U.S. shale has disrupted oil market equilibrium, ushering in a period of global oil abundance. With this, the unique production characteristics of shale, most notably the shorter-cycle nature of shale output and continued improvement in drilling productivity, have profound implications for global oil markets.
Eric Schiller, CFA, Principal and Senior Portfolio Manager, Prudential Fixed Income, June 2014
Despite an environment of low volatility and strong returns, many active equity managers still struggle to outperform their benchmarks over the long term. It is a phenomenon that underscores the attraction for portable alpha as a concept, particularly its potential for uncorrelated performance and long-term alpha generation.
Michael Collins, Managing Director and Senior Investment Officer, Prudential Fixed Income, June 2014
U.S. Treasury futures are tools that can be used by portfolio managers to help manage interest rate and yield curve risk and to facilitate relative value trading. When used properly within a risk-controlled framework, futures can offer greater relative value, cost efficiency, and more efficient execution than physical securities.
Jonathan Butler, Managing Director and Head of European Leveraged Finance, Prudential Fixed Income, March 2014
In this thought paper, Jonathan Butler explains the variations that exist throughout the global loan market and how they may provide relative stability and more, particularly for investors wary of interest rate volatility.
Paul Appleby, CFA Managing Director and Head of Leveraged Finance Group, Prudential Fixed Income, January 2014
This paper discusses how an enhanced option model can improve relative value analysis within the leveraged finance markets. In this second paper of a two part series, portfolio manager Paul Appleby discusses why the model has become more relevant in the current environment.