Reaching for yield, which we define as buying bonds with wider spreads after controlling for sector and rating impacts, is a topic that frequently arises in the life insurance industry.
In this paper, we assess the potential risks associated with such a strategy by stressing capital requirements using spread-implied ratings.
Bond yields remain at or near historic lows around the world, leading to a substantial increase in the value of pension plan liabilities.
Measuring book yield correctly
Markets, economy, stocks, growth, global, fixed income, international, asset classes
Themes and implications from the Global Fixed Income, Currency & Commodities Investment Quarterly
Learn more about J.P. Morgan’s views on fixed income, the economy and markets.
What investors should consider
Potential investment implications of IFRS 9 on bond and equity investment strategies like hedge accounting and derivatives.