In this paper, we assess the potential risks associated with such a strategy by stressing capital requirements using spread-implied ratings.
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
Bond yields remain at or near historic lows around the world, leading to a substantial increase in the value of pension plan liabilities.
A new way for our institutional investors to access and customize J.P. Morgan's intellectual capital.
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.
Measuring book yield correctly
The arrival of the bond bear market, continued normalizing of monetary policy and need to finance expanding U.S. budget deficits, long-term rates are set to rise.