Themes and implications from the Global Fixed Income, Currency & Commodities Investment Quarterly
Since the financial crisis, for a relatively liquid investment CLOs consistently have had the highest spreads net of capital costs for US life insurers.
Markets, economy, stocks, growth, global, fixed income, international, asset classes
In this paper, we assess the potential risks associated with such a strategy by stressing capital requirements using spread-implied ratings.
Investors are concerned about the deterioration of corporate debt quality, marked by lower credit ratings and a large share of covenant-lite issuance in the loan market.
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.
Market downturn, bear market