Transparency about the wrong thing
How central-bank guidance affects market uncertainty and leverage, drawing on meetings with Paul Tucker and Haruhiko Kuroda.
Russ Oxley · Research & consultancy
Pensions and
financial markets
I write about government bonds and pension investment, develop models for liability hedging, and research a modern tontine.
I consult with financial institutions building fixed income capabilities and modern tontine structures. Avrox Asset brings that work together with my introductions to CRZ Pricing.
About Russ Oxley01 / Investment research
Start with the cash flows
A pension liability has a payment schedule. Government bonds have their own. The hedging work examines how to connect the two, and where the remaining interest-rate exposure sits.
The wider writing covers gilt markets, monetary policy and the incentives behind investment decisions.
Matching exposure through time
Pension liabilityGilt portfolio
02 / Pension design
A modern tontine
An annual investment ladder prepares for future income. Longevity sharing allows the commitments of members who live for less time to help support those who live longer.
The research connects the amount invested in each rung with fair allocations, payments and the pool’s ability to continue.
Funding each £1,000 of future income
With ideal sharingInvestment only
03 / Commercial introductions
From a market view
to a priced trade
CRZ Pricing provides derivatives pricing and risk technology. The Avrox demonstrations show how a desk can compare trade structures, inspect risks and follow portfolios using a common calculation engine.
Avrox may receive commission from successful introductions to CRZ Pricing.
- Outright rates
- Exposure to the level of yields
- Curve positions
- Exposure between maturities
- Options
- Exposure that changes with the market
Selected writing
From the publication
Read article
Show me the liability and I will show you the horizon
How early investment returns shape a pension's eventual payments, and why each payment date needs its own investment horizon.
Can CDC allocate risk, not just pool it?
A proposal to update members' target benefits through audited experience allocation before applying the common CDC funding adjustment.
About
Russ Oxley
More than 25 years in fixed income, derivatives and investment management, including building the rates and LDI business at Ignis and launching its Absolute Return Government Bond Fund.
Modern Tontines on Substack
Follow the research
New articles on pensions, fixed income and financial markets, alongside updates from the tontine research.