Description: Recent reports have expressed concern over historically high levels of corporate indebtedness, with an increasing share of investment-grade debt now in the BBB category, just above speculative-grade. This session will explore trends in the corporate debt market, with a focus on the risks and opportunities for portfolios in the current environment.

Description: This report covers credit risk loss experience during the period 2003 through 2015 on non-Rule 144A private placement securities (and, with limited exceptions, some specific types of Rule 144A bonds) held by participating companies of the life insurance industry.

Description: Description * This article summarizes Rev. Proc. 2018-54, in which the IRS provides for a new elective procedure that is intended to help segregated asset accounts and insurance-dedicated funds comply with the diversification requirements of Code section 817(h) with respect to investments in a new type of security known as a Uniform Mortgage-Backed Security.

Description: Interest rates steadily declining ever since the Volcker Fed tackled inflation in the early eighties. Ten years of stimulating monetary policy brought new lows. We should have braced ourselves for a return to neutrality, but that concept remains elusive. We will explore structural issues that have brought rates to these low levels and the potential impacts on the insurance business.

Description: Research material that developed a Liability-Driven Investment (LDI) benchmark framework.

Description: This paper defines Distributable Earnings as the generalized pricing and valuation framework for financial contracts containing the requirement to hold capital or reserves in support of the obligations. It examines the Market Value paradigm and its foundation arising from the pricing of fixed income securities. It reconciles these two methods, showing that market value methods ignore mandatory capital and reserve requirements, which carry both risk and cost. The paper makes the case for the Distributable Earnings framework, not Market Value, as the true basis for economic value for these financial contracts. Finally, it concludes that this framework must be employed in risk-management processes, else fail to recognize a significant source of risk.