After seeing redemptions from its mutual funds during the taper tantrum, AllianceBernstein increased the use of CDX index products, or credit default swap indexes, which essentially provide an insurance policy on groups of bonds, Liang said, noting that the products act almost like an exchange-traded fund and are more liquid than cash bonds.
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AllianceBernstein is selling the contracts to collect the "insurance premium," and to gain a synthetic exposure to high-yield bonds.
"These contracts are a lot easier to put on and unwind. They cost a lot less to unwind than cash balance," he said.
To be sure, it's not clear how many bond managers are seeking out extra protection.
"I don't think we are seeing signs of increased demand for protection," Deutsche Bank's Agarwal said. "I don't sense any fear with clients when I speak to them."
He noted that the Market iTraxx Europe crossover index is trading around its tightest levels ever, which means the price has fallen amid a lack of demand.
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It's also not clear whether buying credit default swaps (CDS) is actually enhancing bond portfolios much.
"This strategy looks great on paper. It's a cheap hedge. You buy protection," Agarwal said. But with the rising interest rate story unlikely to play out until sometime next year, he doesn't expect the strategy will pay off in the next three to six months.
"If you're buying something, paying for protection, it obviously costs you money. So in that sense, you're losing money on your insurance scheme," he said.
—By CNBC.Com's Leslie Shaffer; Follow her on Twitter @LeslieShaffer1