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Our view over the past few quarters has been that EURUSD should be rangebound, as the cyclical outperformance of the US economy is offset by the eurozone���s relatively better balance of payments position.
This paper examines the U.S. commercial mortgage loan (CML) market and U.S. insurers��� investments in CMLs.
Since the financial crisis, for a relatively liquid investment CLOs consistently have had the highest spreads net of capital costs for US life insurers.
In this paper, we assess the potential risks associated with such a strategy by stressing capital requirements using spread-implied ratings.