出所：Bloomberg. ICE BofA and JP Morgan indices ; Allianz Global Investors. 2022年9月30日現在のデータ。指数のリターンは、ユーロ建ての指数を除き、米ドル（ヘッジなし）換算したもの。最低利回りは、「コール償還」（満期より前に予め決められた時点で任意に償還される）が可能な社債の最終利回りを下方調整して算出。実効デュレーションは、これらの「コールオプション」の影響も考慮しています。過去のパフォーマンスは、将来のリターンを予測するものではありません。指数採用銘柄については、本記事の末尾の開示事項をご覧ください。指数に直接投資することはできません。格付けは将来のパフォーマンスを示唆するものではなく、経時的に変動します。指数のリターンはインフレ動向および、該当する場合は配当収入を反映した正味のリターンを表しています。ただし、諸費用、売買委託手数料、その他の投資費用は反映していません。
出所：Bloomberg and ICE BofA indices . Allianz Global Investors. 2022年9月30日時点のデータ。指数のリターンは米ドル建て（ヘッジあり）。実現ボラティリティ（過去30日）は、年換算されています。IGは投資適格債、lhsは左軸、rhsは右軸を意味します。右軸は、MOVEの数値を表します。MOVEは、2年、5年、10年、30年物の米国債先物の1カ月オプションの今後30日間のインプライド・ボラティリティを標準化してイールドカーブで加重した指数です。MOVEの数値の上昇は、オプション価格の上昇を意味します。過去のパフォーマンスは、将来のリターンを予測するものではありません。指数採用銘柄および考慮すべき重要なリスクについては、本記事の末尾の開示事項をご覧ください。指数に直接投資することはできません。指数のリターンはインフレ動向および、該当する場合は配当収入を反映した正味のリターンを表しています。ただし、諸費用、売買委託手数料、その他の投資費用は反映していません。
出所：Bloomberg. ICE. Allianz Global Investors. 2022年9月30日時点のデータ。グローバルHYはICE BofAグローバルハイイールド指数。EM HC SovはJPモルガンエマージング・マーケット・ボンド・インデックス（EMBI）グローバル・ダイバーシファイド。過去のパフォーマンスは、将来のリターンを予測するものではありません。指数採用銘柄、考慮すべき重要なリスク、およびシミュレーション法については、本記事の末尾の開示事項をご覧ください。
1 出所: Inflation in the US rose to around 14% in 1980, according to Federal Reserve public data, Federal Reserve Bank of St Louis 2出所: Bloomberg. ICE BofA and JP Morgan indices; Allianz Global Investors. Data as at 31 August 2022.
Disclosures, Important risk considerations, Disclaimer
US aggregate (represented by the Bloomberg US Aggregate Bond Index): The Bloomberg US Aggregate Bond Index tracks the investment-grade. USD-denominated. fixed-rate taxable bond market. The index includes treasuries. government-related and corporate securities. fixed-rate agency MBS. ABS and CMBS (agency and non-agency); US investment grade (Bloomberg US Corporate Bond Index): The Bloomberg US Corporate Bond Index tracks the investment-grade. fixed-rate. taxable corporate bond market. It includes USDdenominated securities publicly issued by US and non-US issuers; US High Yield (ICE BofA US High Yield Index): The ICE BofA US High Yield Index tracks USD-denominated below investment-grade corporate debt publicly issued in the US domestic market; US floating-rate notes (Bloomberg US Floating Rate Notes Index): The Bloomberg US Floating Rate Notes Index tracks USD-denominated. investment-grade. floating-rate notes across corporate and government-related sectors; US fixed-rate preferred securities (ICE BofA Fixed Rate Preferred Securities Index); The ICE BofA Fixed Rate Preferred Securities Index tracks fixed-rate. USD-denominated. investment-grade exchange-traded preferred securities ($25 par) with outstanding market values of at least USD100 million issued in the US domestic market; Euro aggregate (Bloomberg Euro Aggregate Bond Index): The Bloomberg Euro Aggregate Bond Index tracks the investment-grade. EUR-denominated. fixed-rate bond market. including treasuries. government-related. corporate ad securitized issues; Euro investment grade (ICE BofA Euro Corporate Index): the ICE BofA Euro Corporate Index tracks EUR-denominated investment-grade corporate debt publicly issued in the euro domestic or eurobond markets; Euro high yield (ICE BofA Euro High Yield Index): The ICE BofA Euro High Yield Index tracks EUR-denominated below investment-grade corporate debt publicly issued in the euro domestic or eurobond markets; Euro floating-rate notes (Bloomberg Euro Floating Rate Notes Index): The Bloomberg Euro Floating Rate Notes Index tracks EUR-denominated. investment-grade floating-rate notes across corporate and government-related sectors; Asian investment grade (JP Morgan Asia Credit Index – Investment Grade): The JP Morgan Asia Credit Index – Investment Grade tracks fixed-rate. USD-denominated investment-grade bonds issued by Asia sovereigns. quasi-sovereigns. banks and corporates; Asian high yield (JP Morgan Asia Credit Index – Non-Investment Grade): The JP Morgan Asia Credit Index – Non-Investment Grade tracks fixed-rate. USD-denominated below investment-grade bonds issued by Asia sovereigns. quasi-sovereigns. banks and corporates; China government & policy bank bonds (Bloomberg China Treasury and Policy Bank 1-10 Year Index): The Bloomberg China Treasury and Policy Bank 1-10 Year Index tracks CNY-denominated bonds issued by the Ministry of Finance of the People’s Republic of China (PRC). and debt issued by Chinese policy banks (PRC government agencies which are not guaranteed by the government). that are listed on the China Interbank Bond Market (CIBM); Global emerging market sovereign debt (JP Morgan Emerging Market Bond Index (EMBI) Global Diversified): The JP Morgan EMBI Global Diversified Index tracks liquid. USD-denominated emerging market fixed- and floating-rate debt instruments issued by sovereign and quasi-sovereign entities; Global government bonds AAA-AA (Bloomberg Global Government AAA-AA Capped Index): The Bloomberg Global Government AAA-AA Capped Index tracks local currency bonds with a minimum AA rating issued by governments of developed countries worldwide; Global inflation-linked bonds (Bloomberg Global Inflation-Linked Index): The Bloomberg Global Inflation-Linked Index tracks investment-grade. government inflation-linked debt from 12 different developed market countries; Global green bonds (Bloomberg MSCI Global Green Bond Index): The Bloomberg MSCI Global Green Bond Index tracks the global market for fixed income securities issued to fund projects with direct environmental benefits. An independent research driven methodology is used to evaluate index-eligible green bonds to ensure they adhere to established Green Bond Principles and to classify bonds by their environmental use of proceeds; Global convertible bonds (ICE BofA Global 300 Convertibles Index): The ICE BofA Global 300 Convertibles Index includes 300 convertible securities and is considered generally representative of the global convertible market; Global emerging market corporate debt (JP Morgan Corporate Emerging Market Bond Index (CEMBI) Broad Diversified): The JP Morgan CEMBI Broad Diversified Index tracks the performance of USD-denominated bonds issued by emerging market corporate entities; Global aggregate (Bloomberg Global Aggregate Bond Index): The Bloomberg Global Aggregate Bond Index tracks the performance of the global investment-grade. fixed-rate bond markets and includes government. government-related and corporate bonds. asset-backed. mortgage-backed and commercial mortgage-backed securities from both developed and emerging markets issuers; Euro inflation-linked bonds (Bloomberg Euro Government Inflation-Linked Bond All Maturities Index): The Bloomberg Euro Government Inflation-Linked Bond All Maturities Index tracks the performance of EUR-denominated investment-grade inflation-linked bonds issued by governments of the euro area across the whole yield curve.
Disclosures indices continued & simulated performance
Global multi-sector credit (Bloomberg Global Multiverse Credit Index): The Bloomberg Global Multiverse Credit Index provides a broad-based measure of the global corporate bond market.. representing the union of the Global Aggregate Index and the Global High Yield Index and captures investment grade and high yield securities in all eligible currencies. Euro government bonds 1-3 years (Bloomberg Euro-Aggregate Treasury 1-3 Year): The Bloomberg Euro-Aggregate Treasury 1-3 Year Index measures the performance of the euro area government bond market and includes only bonds issued in euros or legacy euro currencies with a maturity between 1 and up to (but not including) 3 years. US Treasury bonds 1-3 years (JP Morgan Government Bond Index United States 1-3 Year Select Maturity): The JP Morgan Government Bond Index United States 1-3 Year Select Maturity Index tracks the performance of eligible fixed-rate. USD-denominated treasury bonds issued by the US Government with time to maturity between 1 and 3 years. The ICE BofA US Bond Market Option Volatility Estimate Index (MOVE) measures US bond market yield volatility by tracking a basket of over-the-counter options on US Treasury notes and bonds. The basket is comprised of at-the-money one-month options on the current 2-year. 5-year. 10-year and 30-year Treasuries. The Index value is equal to the average of the implied normal yield volatility of the four options. where the 10-year option is given a 40% weight and the other basket components each hold a 20% share. The ICE BofA Global High Yield Index tracks the performance of USD. CAD. GBP and EUR denominated below investment grade corporate debt publicly issued in the major domestic or eurobond markets. The ICE BofA Green Bond Index tracks the performance of investment grade-rated securities issued for qualified green purposes. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote climate change mitigation or adaptation or other environmental sustainability purposes as outlined by the ICMA Green Bond Principles. The index includes debt of sovereign. quasi-government and corporate issuers. but excludes securitized and collateralized securities. The ICE BofA Global Corporate Green Bond Index is a subset of the ICE BofA Global Corporate Index that tracks the performance of securities issued for qualified green purposes as outlined by the ICMA Green Bond Principles. The ICE BofA Social Bond Index tracks the performance of investment grade-rated securities issued for qualified social purposes. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that directly aims to address or mitigate a specific social issue and/or seeks to achieve positive social outcomes as outlined by the ICMA Social Bond Principles. The index includes debt of sovereign. quasi-government and corporate issuers. but excludes securitized and collateralized securities. The ICE BofA Sustainable Bond Index tracks the performance of securities issued for qualified sustainable purposes. Qualifying bonds must have a clearly designated use of proceeds that is solely applied toward projects or activities that promote a combination of climate change mitigation. adaptation or other environmental sustainability purposes. and that directly aims to address and mitigate a specific social issue and/or seeks to achieve positive social outcomes as outlined by the ICMA Sustainability Bond Guidelines. The index includes debt of sovereign. quasi-government and corporate issuers. but excludes securitized and collateralized securities.
Simulated performance data have many inherent limitations, only some of which are described as follows:(i) They are designed with the benefit of hindsight, based on historical data, and do not reflect the impact that certain economic and market factors might have had on the decision-making process, if a client’s portfolio had actually been managed. No simulated performance can completely account for the impact of financial risk in actual performance.(ii) They do not reflect actual transactions and cannot accurately account for the ability to withstand losses.(iii) The information is based, in part, on hypothetical assumptions made for modelling purposes that may not be realised in the actual management of portfolios. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Assumption changes may have a material impact on the model returns presented. Investors should not assume that they will experience a performance similar to the simulated performance shown. Material differences between simulated performance results and actual results subsequently achieved by any investment strategy are possible.
Exhibit 4. Simulation methodology for global high-yield corporate bonds: To calculate returns. we first take the current effective yield of the ICE BofA Global High Yield Index. Highyield spreads are a function of expected default rates with an assumed 35% recovery rate. plus an illiquidity premium that is correlated to the VIX. We compute what spreads should be under the default and VIX scenarios in the table. We then look at the change in spread from the current level for the Index and multiply this by the duration of the Index. This impact is added to/subtracted from the Index’s effective yield. Finally. we take the default rate less the 35% recovery rate. and then deduct that number from the return calculation to give us the expected Index returns. Note that we make no assumptions on changes in interest rates.
Simulation methodology for emerging-market external sovereign bonds: Index returns for emerging-market external sovereign bonds are composed of moves in US Treasury yield. moves in emerging-market credit spreads. and the carry from being long the Index over the holding period. We look at the change in yield and spread. multiplied by the duration of the Index. and add/subtract this figure to/from the yield of the Index to calculate the expected Index returns.
Important risk considerations
This presentation describes certain product capabilities of Allianz Global Investors U.S. LLC (“AllianzGI US”). These strategies involve selling and buying derivatives including futures and swaps and may not be suitable for every investor. No assurance can be given that any particular investment objective will be achieved. Among the risks specific to these strategies that AllianzGI US wishes to call to the attention of prospective investors are the following:
The use of derivatives involves risks different from, and possibly greater than, the risks associated with investing directly in the investments underlying the derivatives. Derivatives can be more volatile and involve significant risk and can disproportionately increase losses and reduce opportunities for gains.
Derivative transactions may produce effects similar to leverage and expose an account to related risks. Consequently, an adverse change in the relative price level can result in a loss of capital that is more exaggerated than would have resulted from an investment that did not involve the use of leverage inherent in the derivative contract.
For each strategy, the collateral requirement may vary depending on the use of an active or passive underlying portfolio, and on the extent to which the strategy uses derivatives. For each strategy, securities from the passive or active underlying portfolio may be pledged as collateral in order to implement the derivative positions. The collateral rules are based on the greater of Reg T rules (standard collateral rules defined by the CBOE and the SEC) and requirements of counterparties. When collateral is used to implement derivative positions, it is possible that a decline in market value of the positions could force the portfolio to cover any shortfall by liquidating noncash assets. The timing of such liquidation may be adverse.
The account may be required to sell investments at times it would not otherwise choose to do so in order to settle derivatives. Such sales may result in losses on such investments and will, in addition, involve transaction costs.
Options on indices may not correlate perfectly with the underlying investments and may not act as expected. Such transactions may not achieve their objectives and may result in (or add to) losses to the account.
Strategies described herein are dependent on the smooth functioning of the markets for the particular instruments being purchased or sold. If such markets do not operate as expected, the strategies described herein could be adversely affected.
Swap agreements involve the risk that the party with whom a client has entered into the swap will default on its obligation to pay the client and the risk that the client will not be able to meet its obligations to pay the other party to the agreement. Collateral for swaps is determined by each counterparty under ISDA agreements.
Past performance does not predict future returns. Performance may be volatile.
Investing involves risk. The value of an investment and the income from it may fall as well as rise and investors might not get back the full amount invested. Investing in fixed income instruments may expose investors to various risks, including but not limited to creditworthiness, interest rate, liquidity and restricted flexibility risks. Changes to the economic environment and market conditions may affect these risks, resulting in an adverse effect to the value of the investment. During periods of rising nominal interest rates, the values of fixed income instruments (including short positions with respect to fixed income instruments) are generally expected to decline. Conversely, during periods of declining interest rates, the values of these instruments are generally expected to rise. Liquidity risk may possibly delay or prevent account withdrawals or redemptions. The volatility of fund unit/share prices may be increased or even strongly increased. Past performance does not predict future returns. If the currency in which the past performance is displayed differs from the currency of the country in which the investor resides, then the investor should be aware that due to the exchange rate fluctuations the performance shown may be higher or lower if converted into the investor’s local currency. This is for information only and not to be construed as a solicitation or an invitation to make an offer, to conclude a contract, or to buy or sell any securities. The products or securities described herein may not be available for sale in all jurisdictions or to certain categories of investors. This is for distribution only as permitted by applicable law and in particular not available to residents and/or nationals of the USA. The investment opportunities described herein do not take into account the specific investment objectives, financial situation, knowledge, experience or specific needs of any particular person and are not guaranteed. The views and opinions expressed herein, which are subject to change without notice, are those of the issuer companies at the time of publication. The data used is derived from various sources, and assumed to be correct and reliable at the time of publication.
Investing involves risk. The value of an investment and the income from it will fluctuate and investors may not get back the principal invested. Past performance is
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