CalPERS

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

  • No related policies

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.

Related Policies


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.

Related Policies


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.

Related Policies