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Global Fixed Income Glossary

This Glossary identifies, defines, and clarifies the meaning of investment terms used by CalPERS in our investment policies. The purpose of the Glossary is to establish a uniform vocabulary of terms for users of these policies.

Choose from the letters below to find a specific Global Fixed Income Investment Policy term or phrase. You'll also find information about the related policies and asset classes for each term.

A  B  C  D  E  F  G  H  I  J  K  L  M  N  O  P  Q  R  S  T  U  V  W  X  Y  Z  #  ALL  


B


Banker's Acceptance - A draft drawn on a bank ordering payment of a particular sum to a specified party at a specified future date. Under a prearranged agreement, these drafts are "accepted" by banks, indicating a willingness to make such payments at the stated time.

Related Policy


Barclays Capital International Fixed Income Index - The index covers the available market for foreign currency-denominated government bonds. It contains an all-inclusive universe of institutionally traded bonds. It includes all fixed rate bonds with a remaining maturity of one year or longer with amounts of at least the equivalent of U.S. $25 million outstanding. The index excludes floating or variable-rate bonds, and private placement-type securities. The Index provides an accurate, replicable fixed income benchmark for market performance. It measures the total return performance of the foreign currency-denominated government bond market. The index captures returns in U.S. dollars.

Related Policy


Barclays Capital Long Liability - A custom index developed by Lehman Brothers composed of dollar-denominated securities issued in the United States with a focus on longer maturity securities that have an issue size of at least $200 million. The index has fixed weights of 30 percent mortgages, 24 percent investment grade corporates, 3 percent Yankee Sovereigns, 40 percent U.S. governments, and 3 percent high yield. The index is considered appropriate for CalPERS, due to the long nature of the CalPERS' liabilities.

Related Policy


Benchmark Risk - Benchmark Risk addresses whether the index chosen is the appropriate reference point for the program in question.

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Bond - A unit of debt, $1,000 of principal or par amount. For 200 years municipal bonds were sold in $1,000 denominations. Since the mid-1970s the minimum bond denomination has been $5,000; nevertheless, "A Bond" is bought, sold, referred to, and priced as if it were $1,000.

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Break-Even Analysis - Uses results from the scenario analysis. Since all projections should be viewed as risky, evaluating the sensitivity of the projected return to adverse market movements is critical. The break-even analysis calculates the movement required to reduce the sector or portfolio returns to a specified level at some horizon. This analysis creates a form of risk/return ratio. The higher the break-even value, the more the cushion against an adverse movement in rates.

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