Introduction

Asset Class Dynamics are data (mainly, time-series data) about the composition of an asset class. We focus on bond asset classes. Data concerns either the issuers of the bonds, the bonds themselves (the instruments), or the holders of the bonds (the investors).

• Issuers
• Instruments
• Investors

At FlowPro, we have this data for three asset classes:

• EM Bond Hard (EMBI)
• EM Bond Local (GBI-EM
• EM Bond Government (because it is the union of the first two)

Issuers are the organisations that issue the bonds of the asset class. FlowPro Data mainly concerns the residence of the issuer (especially whether the residence is of an emerging market economy or of an advanced economy), and the institutional sector (especially whether the issuer is of the central government or some other component of the public sector, as opposed to a private sector issuer like a corporate or a bank).

• Residence
• Institutional Sector

Instruments are the bonds themselves. FlowPro Data mainly concerns the currency (local (to the issuer), or a hard currency, especially the US dollar); coupon (especially at a high level: whether it is a fixed coupon, or some other type e.g. inflation-linked); the maturity or duration (again at a high level: is it short, medium or long bond?); the liquidity or tradability (typically, is it eligible for a bond index?), and the legal jurisdiction or governing law (domestic law or external e.g. United Kingdom or New York).

• Currency
• Coupon
• Maturity / Duration
• Liquidity / Tradability / Index-Eligibility
• Legal Jurisdiction

Investors are the (current) holders of the bonds. FlowPro data mainly concerns their residence, especially in relation to the Issuers (are they resident in the same country as the issuer?), and their institutional sector. Unlike the sectoral data on issuers, which is largely about public vs private sector, the data here focuses on public (official) vs bank vs non-bank or ‘institutional investor’ sectors, and decomposes the latter primarily into pension funds, insurance companies, and asset management companies (and other investment funds).