Credit Portfolio Management in a Turning Rates Environment

15 Pages Posted: 7 Dec 2013

See all articles by Arthur M. Berd

Arthur M. Berd

General Quantitative, LLC; The Journal of Investment Strategies

Elena Ranguelova


Antonio Silva


Date Written: December 5, 2013


We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT® Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also observe that the correlations between spreads and Treasury twists reversed recently, which is likely attributable to the Fed’s ongoing quantitative easing. We also find that short-term effective durations in the banking industry are now significantly lower than historical patterns would indicate. Our findings are relevant for credit portfolio managers contemplating the impact of rising interest rates and steepening Treasury curve on corporate bond portfolios.

Keywords: portfolio management, credit risk

Suggested Citation

Berd, Arthur M. and Ranguelova, Elena and Silva, Antonio, Credit Portfolio Management in a Turning Rates Environment (December 5, 2013). Available at SSRN: or

Arthur M. Berd (Contact Author)

General Quantitative, LLC ( email )

551 Madison Ave Suite 1202
New York, NY 10022
United States

The Journal of Investment Strategies ( email )

Haymarket House
28-29 Haymarket
London, SW1Y 4RX
United Kingdom


Elena Ranguelova

Investcorp ( email )

United States

Antonio Silva

Barclays ( email )

745 7th Avenue
New York, NY 10019
United States

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