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Click here to read this on StonyFinLab.org
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Interesting Resources We Found for You
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1. Securitized Credit: Normalizing, Decelerating, or Falling Off a Cliff? (Wellington Management): [Click here]
Fundamentals across most collateralized loan obligations (CLOs) have stabilized, but some tail risks remain. While rating downgrades in bank loans (the underlying collateral of CLOs) have stabilized in recent months, some issuers are struggling with declining interest-coverage metrics.
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2. What Can History Tell Us about this Easing Cycle? (TCW): [Click here]
Since the turn of the century, there have been three large-scale easing cycles initiated by the Federal Reserve (Fed) in support of the economy, and a couple smaller tweaks that are best viewed as mid-cycle adjustments.
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3. “All Weather” Private Debt (CAIA blog): [Click here]
We borrow the All-Weather asset allocation framework developed by Bridgewater to show that Private Debt can serve as a core portfolio holding because of its risk-adjusted performance across market environments.
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4. Current Estimates of Sustainable Government Debt Limits for the U.S. and 26 Other OECD Countries (AEI): [Click here]
This paper empirically estimates sustainable sovereign debt limits for 27 OECD countries, updating the model in Ghosh et al. (2013). We assess fiscal reaction functions, confirming the fiscal fatigue hypothesis, where gross debt levels exceeding 140-145% of GDP begin to impair a country’s ability to manage public spending and deficits.
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5. Podcast: Subordinated, but Certainly Not Suboptimal (Robeco): [Click here]
Markets are preparing for lower rates. Fixed income investors who need their portfolios to keep on generating enough income are having to evaluate their options. For those who don't have the stomach for high yield debt, the investment grade segment of the credit market has some interesting possibilities. Tune in to hear Jan Willem Knoll and Daniel Ender discuss the merits of subordinated debt.
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City and Financial Global is pleased to announce the next edition of Data, AI and the Future of Financial Services Summit. The conference is on October 22, 2024
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Our panel will discuss and debate the implications of geopolitical competition across asset classes, industries, and regions—identifying winners and losers in an increasingly fragmenting global landscape. The webinar is on October 24, 2024
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Thanks to our members and volunteers (Wenjin Feng and Yuelin Peng) for contributions to this newsletter.
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